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Liu Xiangli

作者:     日期:2015-03-30    来源:

Title: Professor

Tel:010-62288607

Fax:010-62288607

E-mail:lxlbxl@163.com

Add: 39 South College Road, Haidian District, Beijing, China

Central University of Finance and Economics,

Department of Financial Engineering, School of Finance

Post code:100081

 

Education

Sep.2005-Jul.2008  School of Management, Graduate University of Chinese Academy of Sciences, Beijing, China

                Doctor of Management

          Speciality: Management Science and Engineering

Sep.1996-Apr.1999         School of Science, Northern Jiaotong University, Beijing, China

                  Master of Science

                Speciality: Applied Mathematics

Sep.1992-Jul.1996   Department of Mathematics, Shanxi University, Taiyuan, China

                  Bachelor of Science

                 Speciality: Mathematics

 

Work Experience

Apr.1999-May.2009  Beijing Information Technology Institute, Beijing, China

                  Teacher in Department of Statistics, School of Science

Jun.2009---         Central University of Finance and Economics, Beijing, China

                  Teacher in Department of Financial Engineering, School of Finance

 

Research Field

Econometrics; Financial Engineering; Financial Market Microstructure; Financial Risk Management.

 

Courses

Operations Research; Financial Engineering; Derivate Financial Instruments; Financial Risk Management; Financial Model and Financial Calculating;  Futures and Options.

 

Scientific Research Papers

1.       Study on the intraday pattern and the dynamic correlation among return, volume and open interest — Evidence from Chinese commodity futures markets. Journal of Systems Science and Complexity, 2015, 28/1: 156-174. (SCI)

2.       VaR estimation of China’s futures market, taking SHFE copper futures for example. International Review of Applied Financial Issues and Economics. 2011, 3/1:3-19.

3.       An empirical study on information spillovers between Chinese copper futures market and spot market. Physica A: Statistical Mechanics and its Applications. 2008, 387/4: 899-914. (SCI)

4.       Novel soliton-like and multi-solitary wave solutions of (3+1)-dimensional Burgers equation. Applied Mathematics and Computation. 2008, 204/1: 461-467. (SCI)

5.       Research on risk spillovers from the real estate department to financial system based on AR-GARCH-CoVaR. Systems Engineering Theory & Practice, 2014, 8:106-111. (EI, in Chinese)

6.       The intraday trend and impact factor analysis on liquidity of Chinese futures market. Systems Engineering Theory & Practice, 2013, 6:1395-1401. (EI, in Chinese)

7.       Research on the dynamic hedging strategy of Chinese copper futures based on the perspective of basis. Journal of Management Sciences in China. 2012, 6: 53-62. (in Chinese)

8.       Analysis on volatility of Chinese futures market based on ACD model. Systems Engineering Theory & Practice, 2012,2:268-273.(EI, in Chinese)

9.       Price Discovery Function of the Stock Index futures on the Basis of VECM. Management Review. 2012,2:48-54. (in Chinese)

10.   Comovement of Hushen 300 Index Futures and Stock Index in China. Journal of Dongbei University of Finance and Economics. 2012, 1:63-68. (in Chinese)

11.   Intraday Price Discovery Function of Hushen 300 Index Futures in China. Friends of Accounting. 2011, 31:102-106. (in Chinese)

12.   Long memory of China futures markets volatility for high-frequency time series. (to appear in Systems Engineering Theory & Practice, in Chinese)(EI)

13.   The analysis on volatility cluster of China's futures market based on ACD model. Journal of Management Sciences in China. 2010, 5: 72-81. (in Chinese)

14.   Empirical analysis of the USD/JPY exchange rate determination based on the EXMODEL. Systems Engineering Theory & Practice. 2009, 9: 16-22. (EI, in Chinese)

15.   The high frequency statistical analysis of Chinese futures markets. Journal of Beijing Institute of Machinery. 2009, 3: 79-83. (in Chinese)

16.   Analysis on the information spillover effect between futures market and spot market. Journal of Management Sciences in China. 2008, 3: 125-139. (in Chinese)

17.    The risk estimation of China’s futures market by using parametric approach, semiparametric approach and nonparametric approach. Management Review. 2008, 7: 3-8. (in Chinese)

18.    The intraday effect of China's futures market. Systems Engineering Theory & Practice. 2008, 8: 63-80. (EI, in Chinese)

19.   An empirical analysis on differences of two methods for measuring GDP. Economic Research Journal. 2007, 7: 51-63. (in Chinese)

20.   The research on singular stochastic control problem with stopping. Mathematics in Practice and Theory. 2007, 16: 96-102. (in Chinese)

21.   The optimal strategy of a class of stochastic optimization problem. Statistics and Decision. 2007, 5: 33-34. (in Chinese)

22.   Extension of optimal control of proportional reinsurance model with dividend process. Journal of Shanxi University. 2006, 3: 249-252. (in Chinese)

23.   The inexistence of a class of stochastic optimal control problem. Journal of Taiyuan University of Technology. 2006, 6: 706-709. (in Chinese)

24.   The research on a class of optimal control strategy problem with stopping. Mathematics in Practice and Theory. 2006, 6: 193-199. (in Chinese)

 

Books

1. Information Spillover Effect and Autoregressive Conditional Duration Models. Taylor & Francis, 2014.

2. A Study on China's Futures Market Microstructure. Beijing, Science Press, 2010. (in Chinese)

3. Theory and Methods of Matrixes(Second Edition). Beijing, Publishing House of Electronics Industry, 2013. (in Chinese)

4. Guidance on Theory and Methods of Matrixes. Beijing, Publishing House of Electronics Industry, 2013. (in Chinese)

5. Complex Variables and Integral Transforms Beijing, China Machine Press, 2009. (in Chinese)